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/lp/emerald-publishing/shadow-banking-s-effects-in-the-chilean-financial-system-g0e56xVpRq
- Publisher
- Emerald Publishing
- Copyright
- © Emerald Publishing Limited
- ISSN
- 1012-8255
- DOI
- 10.1108/arla-08-2020-0189
- Publisher site
- See Article on Publisher Site
Abstract
The Financial Stability Board (FSB) determined that entities classified as shadow banking are of a credit nature because they are capable of affecting the financial system through the entry and exit of capital. This study aims at measuring the impact of shadow banking in the systemic risk in Chile. A sample of 91 institutions (Run) belonging to the mutual funds was used, with a series showing a continuous behaviour between 2004 and 2018.Design/methodology/approachThe measurement is carried out using the conditional value at risk (CoVaR) methodology, which analyses the behaviour of an institution in a regular state against the same institution in a state of stress.FindingsThe results obtained reflect that liquidity mismatches do not have a relevant effect on the systemic risk, while the 2008 crisis does contribute to its decline.Originality/valueThere are less number of literature studies that apply statistical models regarding shadow banking, at least at a quantitative level, so this research is a beginning for other studies, supporting future authors in their new research as a basis.
Journal
Academia Revista Latinoamericana de Administración – Emerald Publishing
Published: Jun 29, 2021
Keywords: Shadow bank - G1; Mutual fund - G110; Systemic risk - G120; CoVaR - G180; Liquidity mismatch - G210; Shadow bank - G1; Fondo mutuo ; G110; Riesgo sistémico ; G120; CoVaR ; G180; Desajuste de liquidez; G210